If done properly running the coal stove and the furnace into the same stack isn't any more dangerous than running your water heater and furnace into the same chimney which is allowed by code. two appliance are allowed, different fuels aren't allowed because of the chimney fire danger with wood. as far as safety goes, be sure you have proper clearances from the floor joists, make sure the chimney doesn't dead-end (be sure that there is a cleanout located substantially lower than the lowest flue and keep it clean of birds and debris) and you will be as safe as can be. done properly it is as safe or safer than powerventing anything.
Lisa, i'm sure there are many things in everyone's house that doesn't meet current code, especially in an older home. this idea that an insurance company is going to deny coverage for something that doesn't meet code and is unrelated to the cause of the fire that burned your home down is absurd. Unless the insurance company can determine that you rigged something with the intent to purposefully burn your home down to collect the insurance money, they will cover a loss resulting from almost any stupid thing you do.